Guidance

Reporting on collective investment schemes

FINMA, Asset Management division, November 28, 2023

Table of contents
1 Version .....................................................................................................2

2 Executive summary ................................................................................3

3 Introduction .............................................................................................4

3.1 General ............................................................................................4

3.2 Scope ..............................................................................................4
3.3 Frequency .......................................................................................5
3.4 Reporting currency ..........................................................................5
3.5 Technical implementation ...............................................................5

4 Terms and definitions .............................................................................5

5 General notes for completing the reporting.......................................28

1 Version

Version Date Responsible Comments

1.0 30.08.2021 FINMA, GB-A Initial version
1.1 03.12.2021 FINMA, GB-A Update
1.2 01.12.2022 FINMA, GB-A Update 2022
1.3 28.11.2023 FINMA, GB-A Update 2023

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2 Executive summary

In the context of a new reporting process FINMA collects data at the fund
level. The information refers to the cut-off date of 31 December. The data
collection is aimed at all financial intermediaries according to Article 2 of the
Financial Institutions Act (FinIA) as well as banks within the meaning of the
Banking Act (BA) and securities firms under Article 41 let. a FinIA managing
foreign funds with alternative investment strategies. For Swiss collective in-
vestment schemes, the data is collected directly from the fund management
companies (Art. 2 para. 1 let. d FinIA).

Financial intermediaries are required to provide data on exposures, lever-

age, liquidity and counterparty risks of the managed funds on an annual ba-
sis. The goal of the data collection is to improve the quality of supervision in
the area of fund management and to better identify systemic risks. In addi-
tion, the data will allow a better assessment of the inherent risks of the finan-
cial intermediaries and their funds. International standards and regulations
are also to be taken into account.

The data collection is risk based. FINMA has set a threshold of CHF 500 mil-
lion for Swiss funds and CHF 500 million plus alternative investment strategy
for funds domiciled outside Switzerland (foreign funds) above which the data
is requested. This means that smaller funds with no impact on system stabil-
ity are not included in the data collection.

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3 Introduction

3.1 General

This document provides guidance on the data collection for investment funds
(the Excel template) and contains definitions, explanations and examples for
the items referred to in the template.

The reporting on collective investment schemes aims to close certain data

gaps in the area of liquidity risk, leverage risk and counterparty risk. The
data is to be reported on a fund-by-fund basis directly to FINMA.

3.2 Scope

All funds (foreign and domestic) managed or administered in Switzerland by

financial intermediaries (Art. 2 FinIA) are within the scope of the data collec-
tion, unless specifically excluded. FINMA may, at its discretion, exclude cer-
tain fund types from this exercise if it believes that such investment funds do
not pose a significant leverage or financial stability risk.

For Swiss funds, the reporting is based on the domicile of the fund and thus,
the data is collected only from the fund management company. The man-
ager of collective assets does not need to report data on Swiss funds. The
reporting is required for all Swiss funds with net fund assets greater than
CHF 500 million. The threshold value for the net fund assets of CHF 500 mil-
lion refers to the sub-fund or the individual fund and not to the umbrella.

For foreign funds, the reporting is based on the domicile of the manager of
the fund. We require the data to be reported by the fund management com-
pany, the manager of collective assets of the funds as well as the bank
within the meaning of the Banking Act or securities firm under Article 41 let.
a FinIA that manages the foreign collective investment scheme. Funds man-
aged by financial institutions in or from Switzerland must be reported (single
entity, no consolidated view). If the fund contract mentions the institution as
the primary portfolio manager or co-manager, the data must be provided for
the entire fund. Managed accounts are not subject to the reporting. Report-
ing is required for funds with net fund assets greater than CHF 500 million
and that follow an alternative investment strategy. The threshold value for
the net fund assets of CHF 500 million refers to the sub-fund or the individ-
ual fund and not to the umbrella. Reporting is required for funds with net as-
sets of more than CHF 500 million (regardless of the net assets effectively
managed in or from Switzerland). Funds that follow one of the following pre-
dominant investment strategies or one of their sub-categories qualify as an
alternative investment strategy (or that exhibit similar characteristics to be
considered alternative): hedge funds, alternative fund strategies aimed at
achieving an absolute return, private equity funds, real estate funds, com-
modity, and precious metals funds. Please note that, based on these criteria,
some UCITS may fall under the category of alternative investments.

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3.3 Frequency

The frequency of the data collection exercise is annual. The data collection
starts on January 1st and ends on December 31st. If data is not available by
31 December, please complete the reporting based on the latest available
data prior to 31 December. The submission date is 31 March of the following
year.

3.4 Reporting currency

The data should be reported in the fund's base currency unless specified
otherwise. For currency conversion, the exchange rates should be taken as
the closing rate on the last business day of the year.

3.5 Technical implementation

The data can be submitted in two ways. Either the Excel template "Reporting
on collective investment schemes" can be filled out for each fund (one Excel
file per fund) or the data can be submitted using the provided XML Schema.
In addition, the Excel file is based on an XML Schema which allows the user
to export the data directly as an XML file using the Excel "Developer" add-in.

4 Terms and definitions

General information
Institution name Name of the institution
FINMA ID of institution FINMA ID of the reporting institution, not the fund.
Reporting reference 31 December. If data is not available by 31 December, please complete
date the census based on the latest available data prior to 31 December.
Fund identification The identification of foreign funds is a major challenge internationally, as
no standard has yet been established. Consequently, different identifica-
tion codes should be provided, if possible, to help us identify the funds
and link them to other data sources. We follow the methodology of the
AIFMD reporting to identify the funds. Note that not all of the listed iden-
tification codes have to be reported.
Name of the fund The name of the fund under which the fund is referred to in the relevant
fund documents. For sub-funds of an umbrella fund, the name of the um-
brella and the name of the sub-fund should be indicated separately with
a hyphen (e.g. umbrella - sub-fund). This reporting is based on the fund
level, meaning that each sub-fund must be reported separately.
Domicile of the fund Country in which the fund is registered or under whose law it is gov-
(ISO 3166) erned.

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Base currency of the Each fund has only one base currency. This means that for funds with
fund (ISO 4217) several unit classes in different currencies only one base currency must
be chosen. Only the base currency will be used for reporting the infor-
mation. The underlying base currency should be reported according to
ISO 4217 (ISO 3 currency code).
Identification codes Please indicate the identification codes if available
National code of the Unique reference allocated by the national competent authority (if availa-
fund (as provided by the ble)
home regulator of the
fund)
FINMA ID of the fund The FINMA ID is mandatory for Swiss funds or foreign funds distributed
(for Swiss funds or for- to non-qualified investors in Switzerland. The FINMA IDs of the funds
eign funds distributed in are pulished on the FINMA webpage.
Switzerland)
LEI code of the fund Legal Entity Identifier (LEI) (ISO 17442 standard) of the entity or if not
available the Interim Entity Identifier (IEI)
ISIN The ISIN code (ISO 6166 standard) identifying the fund (if available)
SEDOL code The SEDOL code identifying each share class (if available)
CUSIP code The CUSIP code identifying each share class (if available)
Bloomberg code The Bloomberg ticker symbol identifying each share class (if available)
Reuters code The Reuters Identifier Code (RIC) identifying each share class (if availa-
ble)
Share classes Only required if the fund has multiple share classes. Indicate share class
identification if applicable.
Share class name The name of the share class (full name)
Share class national Unique reference allocated by the national competent authority (if availa-
code ble)
Share class ISIN code The ISIN code (ISO 6166 standard) identifying each share class (if avail-
able)
Share class SEDOL The SEDOL code identifying each share class (if available)
code
Share class CUSIP The CUSIP code identifying each share class (if available)
code
Share class Bloomberg The Bloomberg ticker symbol identifying each share class (if available)
code

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Share class Reuters The Reuters Identifier Code (RIC) identifying each share class (if availa-
code ble)
Key investment strategy For the investment strategy, a categorisation of the fund is made with re-
gard to the most important asset classes on the one hand and with re-
gard to the investment strategies on the other hand. Unfortunately, the
classification is not standardised internationally. However, generally rec-
ognised categories already exist which can be used as a basis. This is a
self-declaration. FINMA does not comment further on the terms. Manag-
ers of collective assets of foreign funds are required to follow the guide-
lines of the fund's country of domicile and, where these do not exist, to
categorise on the basis of generally accepted practices. This is a self-
declaration, which should be based on reasonable judgement.
Fund type (open- Open-end / closed-end / other
end/closed-end/ other)
Principal investment The item refers to the primary investment strategy that is most appropri-
strategy ate for the fund. Select one (and only one) predominant investment strat-
egy implemented by the fund. You are given the following choices (you
may only select one):
"FINF" for "Fixed Income Fund"
"EQUF" for "Equity Fund"
"MIXF" for "Mixed Fund"
"HFND" for "Hedge Fund"
"ABRF" for "Alternative fund strategies aimed at achieving an absolute return"
"PEQF" for "Private Equity Fund"
"RESF" for "Real Estate Fund"
"COPM" for "Commodity or Precious Metals Fund"
"OTHR" for "Other strategy"
"NONE" for "None"

Note that a hedge fund strategy only applies if the fund implements one
of the sub-strategies specific to hedge funds, the entity considers the
fund to be a hedge fund, or the competent authority of the domicile of
the fund considers the fund to be a hedge fund. If a fund is specified as
a hedge fund, it cannot report one of the other strategies, although the
fund would fit that strategy as well. The strategy definitions listed below
can be used as guidance. If in doubt when reporting the strategy, take
into account how the qualifying fund’s strategy is described to investors.

Examples (the entity may use different thresholds):

• A fund that meets the criteria defined in its local jurisdiction for

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 'hedge funds' or a fund that declares itself as a 'hedge fund' to
its regulator (for authorisation or reporting purposes) should re-
port as a hedge fund.
• A fund investing primarily (at least 50% of the assets) in equities
should be classified as “Equity”.
• A fund investing in both equities and bonds where the limits of
the two asset classes lie close to 50% should be classified as
“Mixed”.
• A fund investing at least 90% of the assets in fixed income in-
struments (such as government, municipal, corporate bonds)
should be classified as “Fixed income”.
• A fund that can invest up to 80% of the assets in equities and up
to 80% in bonds should be classified as “Mixed”.
• A fund that can invest in commodities and foreign exchange up
to 90% should be classified as “Commodity”.
• A fund that primarily invests in residential and/or commercial
real estate assets should be classified as “Real estate”.
• For a fund of funds, no lookthrough is necessary: choose the
most appropriate strategy or the strategy under which the fund is
labelled or marketed
Investment strategy sub- Depending on the Principal Investment Strategy, choose the most ap-
category propriate sub-category of the principal investment strategy.

Fixed Income Funds:

"FINF_IGB" for "Investment Grade Bonds"
"FINF_HYB" for "High Yield Bonds"
"FINF_GEB" for "General Bonds"
"FINF_CVB" for "Convertible Bonds"
"FINF_MMF" for "Money Market Funds"
"FINF_ABS" for "ABS/MBS"
"FINF_OTH" for "Fixed income other"
Equity Funds:
"EQUF_SCF" for "Small Cap"
"EQUF_SMF" for "Small and Midcap"
"EQUF_BLU" for "Bluechips"
"EQUF_OTH" for "Equity other"
Mixed Funds:
"MIXF_MSF" for "Multi-Strategy"
"MIXF_MEB" for "Mixed Equity / Bonds"
"MIXF_OTH" for "Mixed other"
Hedge Funds:
"HFND_EQTY_LGBS" for "Equity: Long Bias"
"HFND_EQTY_LGST" for "Equity: Long/Short"

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 "HFND_EQTY_MTNL" for "Equity: Market Neutral"
"HFND_EQTY_STBS" for "Equity: Short Bias"
"HFND_RELV_FXIA" for "Relative Value: Fixed Income Arbitrage"
"HFND_RELV_CBAR" for "Relative Value: Convertible Bond Arbitrage"
"HFND_RELV_VLAR" for "Relative Value: Volatility Arbitrage"
"HFND_EVDR_DSRS" for "Event Driven: Distressed/Restructuring"
"HFND_EVDR_RAMA" for "Event Driven: Risk Arbitrage/Merger Arbitrage"
"HFND_EVDR_EYSS" for "Event Driven: Equity Special Situations"
"HFND_CRED_LGST" for "Credit Long/Short"
"HFND_CRED_ABLG" for "Credit Asset Based Lending"
"HFND_MACR_MACR" for "Macro"
"HFND_MANF_CTAF" for "Managed Futures/CTA: Fundamental"
"HFND_MANF_CTAQ" for "Managed Futures/CTA: Quantitative"
"HFND_MULT_HFND" for "Multi-strategy hedge fund"
"HFND_OTHR_HFND" for "Other hedge fund strategy"
Alternative fund strategies aimed at achieving an absolute return:
"ABRF_NA" for "n/a"
Private Equity Funds:
"PEQF_VCA" for "Venture Capital"
"PEQF_GRC" for "Growth Capital"
"PEQF_MZB" for "Mezzanine Capital"
"PEQF_MPE" for "Multi-strategy private equity fund"
"PEQF_OTH" for "Other private equity fund strategy"
Real Estate Funds:
"RESF_RRE" for "Residential real estate"
"RESF_CRE" for "Commercial real estate"
"RESF_IRE" for "Industrial real estate"
"RESF_MRE" for "Multi-strategy real estate fund"
"RESF_OTH" for "Other real estate strategy"
Commodity or Precious Metals Funds:
"COPM_NA" for "n/a"
Other strategy:
"OTHR_NA" for "n/a"
None:
"NONE_NA" for "n/a"

Investment style Is the fund managed actively, passively or mixed ?

Fund of funds Does the fund invest more than 50% in other funds? yes=1 / no=0
Index fund Is the fund an index fund? yes=1 / no=0
Master fund Is the fund a master fund? yes=1 / no=0
Feeder fund Is the fund a feeder fund? yes=1 / no=0
Investor type Circle of investors: qualified investors only / unlimited. The selection of

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 the investor type must be based on the regulation of the fund's domicile
and must include all countries where the fund is distributed (Switzerland
as well as other countries).
Region and market The primary regional investment focus is required, if this can be deter-
mined on the basis of the investments or the fund contract.
Primary geographical in- This item refers to the primary region in which the investment funds in-
vestment region vest. The categories are:
• Africa
• Asia and Pacific (other than the Middle East)
• Europe
• Middle East
• North America
• South America
• Global (without a focus on a specific geographical area)

Examples:
- A fund investing primarily in Europe (at least 50% of the assets) should
be classified as “Europe”.
- A fund that invests on a global basis with no specific geographical fo-
cus should be classified as “Global”.
- For a fund of funds, no lookthrough is necessary: choose the most ap-
propriate geographical investment region under which the fund is la-
belled or marketed

Predominant type of Indicate the most appropriate answer. This item refers to the primary
market market in which the fund invests:
- Developed;
- Emerging;
- Mixed.

Examples:
- A fund that can invest on a primary basis in both developed and
emerging markets should be classified as “Mixed”.
- A fund that will invest at least 75% in developed markets should be
classified as “Developed”.
Measurement of risk The risk measurement method is a key piece of information. It deter-
mines the calculation methods to be used for the calculation of the expo-
sure in the "Leverage of the fund" section. The risk measurement
method should reflect the fund contract's information and/or the relevant

10/29
 risk measurement methods under the applicable jurisdiction.
Exposure calculation In international practice, absolute VaR and relative VaR are widely used
method in addition to commitment approaches. For Swiss funds and most EU
funds, commitment approaches are common. For Swiss funds, the com-
mitment method is divided into Commitment I and Commitment II. For
funds domiciled outside Switzerland, the calculation methods to be used
to determine the fund's exposure must comply with generally accepted
practices and applicable regulations 1.

Net fund assets The base currency of the fund is already requested in the 'fund identifi-
cation' section. All value-related information should be recorded in the
base currency unless otherwise specified.
Asset values should always include all share classes in the fund as well
as side pockets.
Total AuM (Assets un- For Swiss funds, the total assets under management of the fund (AuM)
der Management) correspond to the value of the total investment assets at market values
amount of the fund in (asset side of the fund balance sheet). The information must be provided
base currency in the base currency of the fund, specified under 'Fund identification'.
For funds domiciled outside Switzerland, the calculation methods to be
used to determine the total assets under management of the fund (AuM)
must comply with generally accepted practices and applicable regula-
tions2.

Net fund assets of the
fund in base currency
Net fund assets in Swiss
francs (CHF)
Leverage of the fund
Net fund assets correspond to the total assets of the fund less debt fi-
nancing and other liabilities. The information must be provided in the
base currency of the fund, specified under 'Fund identification'. If the net
fund assets are not available on the reference date, use the last calcu-
lated net fund assets preceding the reference date for the reporting.
Net fund assets in Swiss francs (CHF). The entity should use the end-of-
year exchange rate.
This section requests some statistics on period-related data. The period
used spans one year (last 12 months). The leverage must be provided in
percentages. Note that should you decide to file using XML, percentages
must be given in decimal form, for example 1% = 0.01.

1 For example, if the fund is domiciled in Europe, the calculation methods to be used to determine the
exposure of the fund are described in the regulation "COMMISSION DELEGATED REGULATION
(EU) No 231/2013 of 19 December 2012". If it is a UCITS, the calculation methods applicable to
determine the exposure of the fund are described in the "CESR's Guidelines on Risk Measurement
and the Calculation of Global Exposure and Counterparty Risk for UCITS" (Date: 28 July 2010, Ref.:
CESR/10-788).
2 For example, if the fund is domiciled in Europe, the calculation methods to be used to determine the
assets under management are described in the Article 2 of COMMISSION DELEGATED REGULA-
TION (EU) No 231/2013.

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 Leverage calculated un-
der the gross method
3
Those examples are only applicable to this reporting. They are not to be used as guidance outside of
this reporting and should not be interpreted as any kind of legal requirements.
The calculation of the leverage of the fund under the gross method is
mandatory for all funds regardless of the risk measurement method.
The gross leverage of the fund should be expressed as the ratio be-
tween the gross overall exposure of the fund and its net assets.
If the fund is domiciled in Switzerland, the gross overall exposure of the
fund should include the exposure to the fund’s net assets, the gross
overall exposure to derivatives and investment techniques under Article
55 CISA, including short-selling. For further guidance, please refer to
CISO-FINMA.
In this CIS Reporting, for better comparability of the data, we invite you
to calculate and report the leverage calculated under the gross method
as illustrated in the following examples3.
1. A swiss fund invests 50% of its net assets in equities and 50%
of its net assets in fixed income and does not use any derivative
instruments, debt financing or other investment techniques that
increase its leverage. The fund will have a gross leverage of:
Exposure to net assets invested = 50% + 50% = 100%.
Gross overall exposure to derivatives (total GNE) = 0%
Exposure to investment techniques (Article 55 CISA), incl. short selling =
0%
 Gross leverage = 100%
2. A swiss fund invests 40% of its net assets in global equities,
50% of its net assets in global bonds and keeps 10% in cash.
This fund uses foreign currency forwards to hedge its currency
risk (GNE = 10% of its net assets) and interest rate swaps to
hedge its interest rate risk (GNE = 10% of its net assets). It also
has long call options on a global equity index (GNE = 10% of its
net assets). The absolute sum of the gross notional exposure
(long and short) of all the derivatives used represents 30% of its
net assets. This fund does not use debt financing or other in-
vestment techniques that increase its leverage. This fund will
have a gross leverage of:
Exposure to net assets invested = 40%+50%+10% = 100%
Gross overall exposure to derivatives (total GNE) =10%+10%+10%
=30%
Exposure to investment techniques (Article 55 CISA), incl. short selling =
0%
 Gross leverage = 100% + 30% = 130%
3. A swiss fund invests 100% in real estate and has taken on mort-
12/29
 gage debt for 15% of its net assets. This fund does not use de-
rivatives or other investment techniques that increase its lever-
age. This fund will have a gross leverage of:
Exposure to net assets invested = 100%
Gross overall exposure to derivatives (total GNE) = 0%
Exposure to investment techniques (Article 55 CISA), incl. short selling =
15%
 Gross leverage = 100% + 15% = 115%

For funds domiciled outside Switzerland, the calculation method to be

used to determine the gross exposure of the fund must comply with gen-
erally accepted practices and applicable regulations 4.
If there are no rules regarding the calculation of the leverage under the
gross method applicable to the fund's jurisdiction, the institution can fall
back on general practices and determine the gross exposure on a best
effort basis.
Information includes (minimum, maximum, average) as referred to be-
low:
• Leverage calculated under the gross method at reference date
(31 December)
• Minimum leverage calculated under the gross method over re-
porting period
• Maximum leverage calculated under the gross method over re-
porting period
• Arithmetic average of the leverage calculated under the gross
method over reporting period

Leverage should be calculated at least as often as the NAV is calcu-

lated, or more frequently if required.
If the internal systems in place do not allow the extraction of the mini-
mum, maximum and average leverage for the current reporting period,
please fill in only the leverage calculated under the gross method at the
reference date (year end). However, you are expected to adapt your in-
ternal systems accordingly in order to provide us with the full data as
from the next reporting period.

4
For example, if the fund is domiciled in Europe, general provisions on the calculation of leverage can
be found in Article 6 of COMMISSION DELEGATED REGULATION (EU) No 231/2013 and the gross
exposure of the funds is calculated in accordance with the gross method as set out in Article 7 of
COMMISSION DELEGATED REGULATION (EU) No 231/2013.

13/29
 Leverage calculated un-
der the commitment
method
5 For example, if the fund is domiciled in Europe, the exposure of the fund managed is calculated in
accordance with the commitment method as set out in Article 8 (Article 6(2) of COMMISSION DELE-
GATED REGULATION (EU) No 231/2013).
The calculation of the leverage calculated under the commitment meth-
od is mandatory for all European funds in accordance with Article 6(2) of
COMMISSION DELEGATED REGULATION (EU) No 231/2013. For
other funds (including Swiss funds), the calculation of the leverage cal-
culated under the commitment method is mandatory for all funds that
use a "Commitment", "Commitment I" or "Commitment II" risk measure-
ment method.
The leverage of the fund calculated under the commitment method
should be expressed as the ratio between the net overall exposure (or
"commitment exposure") of the fund and its net assets.
If the fund is domiciled in Switzerland, the net overall exposure of the
fund should include the exposure to the fund’s net assets, the net overall
exposure to derivatives and investment techniques under Article 55
CISA, including short-selling. For further guidance, please refer to CISO-
FINMA.
For funds domiciled outside Switzerland, the calculation methods to be
used to determine the net exposure of the fund must comply with gener-
ally accepted practices and applicable regulations5.
If there are no rules regarding hedging and netting in the applicable juris-
diction, the institution can fall back on general practices and determine
the total net exposure on a best effort basis.
Information includes (minimum, maximum, average) as referred to be-
low:
• Leverage calculated under the commitment method at reference
date (year end)
• Minimum leverage calculated under the commitment method
over reporting period
• Maximum leverage calculated under the commitment method
over reporting period
• Arithmetic average of the leverage calculated under the commit-
ment method over reporting period
The leverage should be calculated at least as often as the NAV is calcu-
lated, or more frequently if required, in order to ensure that the fund is
capable of remaining in compliance with leverage limits at all times.
If the internal systems in place do not allow the extraction of the mini-
mum, maximum and average leverage for the current reporting period,
please fill in only the leverage calculated under the commitment method
at reference date (year end). However, you are expected to adapt your
internal systems accordingly in order to provide us with the full data as
from the next reporting period.
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 Relative VaR global ex-
posure (only for funds
which use the relative
VaR approach)
Absolute VaR global ex-
posure (only for funds
which use the absolute
6 For example, if the fund is a UCITS, the relative VaR can be calculated in accordance with the re-
quirements set out in Box 12 of the "CESR's Guidelines on Risk Measurement and the Calculation of
Global Exposure and Counterparty Risk for UCITS" (Date: 28 July 2010, Ref.: CESR/10-788).
The calculation of the relative VaR (Value at Risk) global exposure is
mandatory for all funds that use a "Relative VaR" risk management
method. The relative VaR global exposure should be expressed as a
percentage of the fund's VaR to the reference portfolio's VaR in accord-
ance with Article 39 CISO-FINMA or a similar regulation depending on
the fund's jurisdiction6.
The fund's VaR should be rescaled to a 99% confidence interval and a
holding period of 20 business days
(a) one-tailed confidence interval of 99 %;
(b) holding period equivalent to 1 month (20 business days);
(c) effective observation period (history) of risk factors of at least 1 year
(250 business days) unless a shorter observation period is justified by a
significant increase in price volatility (for instance extreme market condi-
tions);
(d) quarterly data set updates, or more frequent when market prices are
subject to material changes;
The calculation of the fund's relative VaR should be performed at least
on a daily basis.
Information (minimum, maximum, average) as referred to below should
be based on all the VaR calculated during the reference semester.
▪ Relative VaR at semester-end
▪ Minimum relative VaR during the reference semester
▪ Maximum relative VaR during the reference semester
▪ Arithmetic average relative VaR during the reference semester
Examples:
• Assume at the semester-end that the fund's VaR is equal to 15%
and the VaR of the reference portfolio is equal to 10%. The relative
VaR calculated in accordance with the formula hereinabove is thus
equal to 150%.
• Assume at the semester-end that the fund's VaR is equal to 6% and
the VaR of the reference portfolio is equal to 10%. The relative VaR
calculated in accordance with the formula hereinabove is thus equal
to 60%.
The calculation of the absolute VaR global exposure is mandatory for all
the collective investment schemes that use an "Absolute VaR" risk
measurement method. Absolute VaR global exposure expressed as a
15/29
VaR approach) percentage of the total net fund assets, calculated in accordance with
the requirements set out in Box 15 of the "CESR's Guidelines on Risk
Measurement and the Calculation of Global Exposure and Counterparty
Risk for UCITS" (Date: 28 July 2010, Ref.: CESR/10-788).
Absolute VaR is expressed as a percentage of the total net fund assets
and determined on the basis of a 99% confidence interval and a holding
period of 20 business days. In case a confidence interval and/or holding
period differing from the parameters above (99%, 20 days) are used for
the calculation of the VaR, the absolute VaR figure calculated should be
rescaled to a VaR with a 99% confidence interval and a holding period of
20 business days.
Information (minimum, maximum, average) as referred to below should
be based on all the VaR figures calculated during the reference semes-
ter and should be expressed as a positive percentage.
▪ Absolute VaR at semester-end
▪ Minimum absolute VaR during the reference semester
▪ Maximum absolute VaR during the reference semester
▪ Arithmetic average absolute VaR during the reference semester
Asset class exposures The sum of the market values (or fair values) of all asset classes, split by
short and long market exposures.
Asset class exposures The sum of the market values (or fair values) of all asset classes, out-
lined below at year-end, expressed in the base currency and on a
long/short basis (where available).
Asset Class Exposures SubAssetTypeCode
Securities & cash
Cash and cash equivalents SEC_CSH_CEQU
Reverse repo (reverse repurchase agreement transactions) SEC_REV_REPO
Equities
Listed equities issued by financial institutions SEC_LEQ_IFIN
Other listed equities SEC_LEQ_OTHR
Unlisted equities SEC_UEQ_UEQY
Fixed Income
Corporate bonds (other than convertible bonds)
Corporate bonds issued by financial institutions
Investment grade bonds SEC_CPI_INVG
Non-investment grade bonds SEC_CPI_NIVG
Corporate bonds not issued by financial institutions
Investment grade bonds SEC_CPN_INVG
Non-investment grade bonds SEC_CPN_NIVG
Sovereign bonds SEC_SBD
Municipal and other public local debt SEC_MBN_MNPL
Convertible bonds
Convertible bonds issued by financial institutions SEC_CBN_INVG
Convertible bonds not issued by financial institutions SEC_CBN_NIVG
Loans
Commercial papers SEC_LON_CPA
CDO/CLO SEC_LON_CDO
Leveraged loans SEC_LON_LEVL
Other loans SEC_LON_OTHL
Structured/securitised products

16/29
 ABS SEC_SSP_SABS
RMBS SEC_SSP_RMBS
CMBS SEC_SSP_CMBS
Agency MBS SEC_SSP_AMBS
ABCP SEC_SSP_ABCP
Structured certificates SEC_SSP_STRC
ETP SEC_SSP_SETP
Other structured products SEC_SSP_OTHS
Other securities SEC_SEC_OTHS

Derivatives DER_MKT
Equity derivatives DER_EQD
Credit derivatives
Credit default derivatives DER_CDS
Other credit derivatives DER_OCD
Commodity derivatives
Crude oil DER_CTY_ECOL
Natural gas DER_CTY_ENNG
Power DER_CTY_ENPW
Gold DER_CTY_PMGD
Other precious metals DER_CTY_PMOT
Livestock DER_CTY_OTLS
Industrial metals DER_CTY_OTIM
Agricultural products DER_CTY_OTAP
Other commodities DER_CTY_OTHR
Foreign exchange derivatives DER_FEX_FEXD
Interest rate derivatives (total gross notional duration ad- DER_IRD_INTR
justed)
Volatility derivatives DER_VOL_VOLD
Other derivatives DER_OTH_OTHR

Physical (real/tangible assets)

Residential real estate PHY_RES_RESL
Commercial real estate PHY_RES_COML
Infrastructure PHY_INF_INFR
Physical commodities (precious metals / raw materials)
Gold PHY_PHY_GOLD
Other precious metals PHY_OTH_PMET
Other physical commodities PHY_OTH_OTHR

Collective investment undertakings (CIU)

Money market funds and cash management funds CIU_MMF
Exchange traded funds CIU_ETF
Other funds CIU_OTHR

Investments in other asset classes OTH_OTH_OTHR

Note that no looktrough on asset class exposure is required for funds of

funds. The investments figure under the "Collective investment undertak-
ings asset class".
Further guidance on as- Cash and cash equivalents – include exposures to cash and cash equiv-
set class exposure alent asset classes, such as certificates of deposit, banker’s ac-
ceptances and similar instruments held for investment purposes that do
not provide a return greater than a 3-month high credit quality govern-
ment bond.
Listed equities – include the market value of all exposure by the fund to

17/29
listed equities held in physical securities. Do not include in this category
exposures obtained synthetically or through derivatives (instead include
these under the ‘equity derivatives’ category).

Unlisted equities – include the market value or, if this is not available, the
fair value of all exposure to unlisted equities held in physical securities.
Unlisted equities are those that are not listed on a regulated exchange.
Do not include in this category exposures obtained synthetically or
through derivatives (instead include these under the ‘equity derivatives’
category).

Corporate bonds – include the market value or fair value of all corporate
bonds held by the fund. Please do not include bond derivatives (treated
under credit or interest rate derivatives). Do not include any positions
held via CDS (these should be recorded in the credit default derivatives
category).

Sovereign bonds – include the market value or fair value of any sover-
eign bonds held by the fund. For the purposes of this question, a sover-
eign bond is a bond issued by a national government, including suprana-
tional bonds and agency bonds backed by national governments.

Municipal and other public local debt – market value or fair value of any
bond held by the fund issued by a local, regional or municipal govern-
ment. Please do not include bond derivatives (now treated under credit
derivatives). Do not include any positions held via CDS (these should be
recorded in the credit default derivatives category).

Convertible bonds – include the market or fair value of all convertible

notes or debentures (not yet converted into shares or cash) held by the
fund.

Loans

CLO/CDOs – include the market or fair value of all investments by the

fund in collateralised debt obligations (cash flow and synthetic) or collat-
eralised loan obligations. Do not include any positions held via LCDS
(these should be recorded in the credit derivative category).

Other loans – include all other loans, including (but not limited to) bilat-
eral or syndicated loans to investment grade corporate entities, factoring

18/29
or forfeiting finance and invoice discounting. Do not include any posi-
tions held via LCDS (these should be recorded in the credit derivative
category).

Structured products– include the market value or fair value of all invest-
ments by the fund in asset backed securities including (but not limited
to):
auto loans, credit card loans, consumer loans, student loans, equipment
loans, and whole business securitisations
residential mortgage-backed securities, commercial mortgage-backed
securities, and agency mortgage-backed securities
asset-backed commercial paper held by the fund, including (but not lim-
ited to) SIVs, single-seller conduits and multi-seller conduit programmes
structured certificates
other forms of structured investments held by the fund which are not
covered by another category
Do not include any positions held via CDS (these should be recorded in
the credit derivatives category or, where available, under the sub-cate-
gory of credit default derivatives).

Derivatives - the total market value of derivatives (SubAssetTypeCode:

DER_MKT) should be calculated in accordance with Article 32 CISO-
FINMA.
In the columns "LongGrossNotionalExposure" and "ShortGrossNotion-
alExposure" for each derivative instrument, indicate the value of the de-
rivatives instruments in underlying equivalents, split between long and
short positions. For further details on the calculation of the gross notional
exposure, please refer to the indications below under "Gross notional
exposure (GNE)".
Equity derivatives – include the value of all exposure by the fund to equi-
ties held synthetically or through derivatives. Measure exposure as the
total notional value of futures and delta-adjusted notional value of op-
tions. Please include equity index futures as well as single stock deriva-
tives. Dividend swaps and options should also be included in this cate-
gory. For this category equity includes both “listed” and “unlisted”.

Credit derivatives – refer to those derivatives whose underlying is either

credit risk or a fixed income security whose primary risk factor is credit
risk and include the total notional value of all bond futures, whether cor-
porate or sovereign, when credit risk is the primary risk factor. When the
interest rate is its primary risk factor, this should be reported under Inter-
est Rate Derivatives (IRD).

19/29
Credit default derivatives: Single name CDS – include the notional value
of CDS referencing a single entity. The long value should be the notional
value of protection written or sold, and the short value should be the no-
tional value of protection bought. Include any single name CDS in this
calculation. Provide a breakdown between single name credit protection
on sovereign, financial sector and other entities.

Credit default derivatives: Index CDS – include the notional value of

CDS referencing a standardised basket of credit entities, for example the
CDX and iTraxx indices. Include indices referencing leveraged loans
(such as the iTraxx LevX Senior Index). The long value should be the
notional value of protection written or sold, and the short value should be
the notional value of protection bought.

Credit default derivatives: Other CDS – include any credit default deriva-
tives not covered by one of the listed categories.

Commodity derivatives: Crude oil – include the value of all exposure of

the fund to crude oil, whether held synthetically (non-deliverable) or
through (cash or physically settled) derivatives (total notional value of fu-
tures, delta-adjusted notional value of options). Please note that other
types of oil or energy products (aside from natural gas) such as ethanol,
heating oil propane and gasoline should be included in the "other com-
modities" category.

Commodity derivatives: Natural gas – include the value of all exposure

of the fund to natural gas, whether held synthetically or through (cash or
physically settled) derivatives (total notional value of futures, delta ad-
justed notional value of options). Please note that other types of oil or
energy products (aside from crude oil) such as ethanol, heating oil pro-
pane and gasoline should be included in the "other commodities" cate-
gory.

Commodity derivatives: Gold – include the value of all exposure by the

fund to gold, whether held synthetically or through (cash or physically
settled) derivatives (total notional value of futures, delta-adjusted no-
tional value of options).

Commodity derivatives: Other metals – include the value of all exposure

by the fund to metals other than gold, (total notional value of futures,
delta-adjusted notional value of options).

20/29
Commodity derivatives: Power – include the value of all exposure of the
fund to power (all regions), whether held synthetically or through (cash
or physically settled) derivatives (total notional value of futures, delta-ad-
justed notional value of options).

Commodity derivatives: Agricultural products – include the value of all

exposure of the fund to agricultural products through derivatives (total
notional value of futures, delta-adjusted notional value of options).

Commodity derivatives: Other commodities – include the value of all ex-

posure of the fund to other commodities (which are not covered by the
above categories), whether held synthetically or through (cash or physi-
cally settled) derivatives (total notional value of futures, delta-adjusted
notional value of options).

Foreign exchange – where available, include the long and short notional
value of the fund’s outstanding foreign exchange contracts.
Where long/short delineation is unavailable, report the total gross no-
tional. Include the total notional value of futures and delta-adjusted no-
tional value of options expressed in the fund base currency.
In the case of a currency derivative consisting of two contract sides, nei-
ther of which is to be settled in the reference currency of the securities
fund, both contract sides must be reported. Otherwise only one cur-
rency side of every transaction should be counted, the one referred to
the foreign currency. Include the total notional value of futures and del-
ta-adjusted notional value of options expressed in the fund base cur-
rency.

Interest rate derivatives – two distinct reporting methods are now in-
cluded so as to reflect (or not) the effect of maturity of instruments. First,
consider the total gross notional value of the fund’s outstanding interest
rate derivative contracts without any adjustments by the underlying's du-
ration. Alternatively, consider the total notional value of the IRD instru-
ments, with the value adjusted using the duration of a 10-year risk-free
bond. However, if the fund chooses to adjust the total gross notional
value of the fund's outstanding interest rate derivative by the underly-
ing's duration or by the duration of a 10-year risk-free bond, the same
approach should be applied when calculating the fund's exposure and
corresponding leverage. In all cases, use the total notional value for fu-
tures and delta-adjusted notional value for options.

21/29
 Other derivatives – include the total gross notional value of the fund’s
outstanding contracts regarding all exotic derivatives (for example,
weather or emission, volatility, variance and correlation derivatives). In-
clude the total notional value of futures and delta-adjusted notional value
of options.

Physical: real estate – include the value of real estate held physically or
in raw form. Do not include real estate exposures held through equity se-
curities of companies, such as listed equity securities (or their related
derivatives) or equity holdings of unlisted REITS, unless the real estate
company for which the equity security is held was created for the ex-
press purpose of holding the real estate investment for the fund, the
principal assets and purpose of the company is to be invested in real es-
tate, and the fund has the controlling interest in that company (otherwise
include the exposure under “listed equities” or “unlisted equities” as
deemed appropriate). Real estate refers to land, as well as any physical
property or improvements affixed to the land including houses, buildings,
landscaping, fencing, etc. Include any mineral rights to any geophysical
aspects of the real estate occurring thereon.
Report the market or fair value for the real estate investment reported in
the fund’s most recent financial accounts or if this is not available then at
the historical purchase price. You do not need to obtain a new estimate
of the value of physical real estate for the purpose of completing this sur-
vey.

Physical: commodities – include the value of commodities held in physi-

cal or raw form. Do not include commodity exposures currently held via
derivatives even if they are expected to be physically settled in the fu-
ture. Include commodity exposures that were originally obtained via de-
rivatives, providing settlement has occurred and the commodities are
currently held in physical or raw form.

Investment in funds – include all investments by the fund in:

• money market and cash management funds,
• exchange-traded funds,
• other funds including (but not limited to) hedge funds, real estate
funds, private equity funds and retail funds (i.e. mutual funds and/or
UCITS etc.).

Total other – include exposures to asset classes not classified above.

Investment grade An instrument is investment grade if it is sufficiently liquid so that it can
be sold at or near its carrying value within a reasonably short period of

22/29

Non-investment grade
Long value
Short value
Gross notional exposure
(GNE), split between
long and short positions
7 For example, if the fund is domiciled in Europe, the conversion methodologies for derivative instru-
ments are set out in Article 10 and the methods set out in paragraphs (4) to (9) and (14) of Annex I
of COMMISSION DELEGATED REGULATION (EU) No 231/2013.
time and is subject to no greater than moderate credit risk. Industry con-
vention typically specifies investment grade instruments as those that
are rated BBB- or higher by Standard & Poor's and/or Baa3 or higher by
Moody's and/or BBB- or higher by Fitch.
An instrument is non-investment grade if it is not investment grade. In-
dustry convention typically specifies non-investment grade instruments
as those that are rated below BBB- by Standard & Poor's and/or below
Baa3 by Moody's and/or below BBB- by Fitch.
Any unrated bonds held by the fund should also be recorded as being
non-investment grade for the purposes of this data collection.
Total value of long exposures – physical, synthetic and delta-adjusted
derivative exposure (market value at reference date). All amounts should
be reported in absolute values (non-negative numbers).
Total value of short exposures – physical, synthetic and delta-adjusted
derivative exposure (market value at reference date). All amounts should
be reported in absolute values (non-negative numbers).
Only applicable to derivative instruments:
Sum of Gross nominal or notional value of all deals concluded and not
yet settled on the reporting date. For contracts with variable nominal or
notional principal amounts, the basis for reporting is the nominal or no-
tional principal amounts at the time of reporting. Separate reporting on
long and short exposures are required.
The conversion amount for the Gross Notional Exposure arising from de-
rivatives is normally the underlying equivalent, based on the market
value of the underlying assets of the derivatives.
For Swiss funds, the underlying equivalents are calculated in accord-
ance with Annex 1, CISO-FINMA. The nominal value or the forward
price of futures contracts calculated on each trading day may be taken
as the basis if the result is a more conservative calculation.
For funds domiciled outside Switzerland, the conversion methodologies
for derivative instruments must comply with generally accepted practices
and applicable regulations7.
We realise that nominal or notional amounts outstanding in relation to
derivatives generally do not represent actual amounts truly at risk, but
from a systemic risk perspective, they provide a measure of market size
and a reference from which contractual payments are determined.
Derivative positions’ GNE should be delta-adjusted when applicable.
23/29

Net notional exposure
(NNE)
Borrowing risk profile
Value of cash borrow-
ings
Value of securities bor-
rowings (at market
value)
Counterparty risk pro-
file
Total counterparty risk
borne by the fund
8
For example, if the fund is domiciled in Europe, the rules on netting and hedging arrangements are
included in Article 8(3 to 5) of COMMISSION DELEGATED REGULATION (EU) No 231/2013.
Data fields referring to the Net Notional Exposure (NNE) are mandatory
for funds that follow a Commitment (or Commithent I/II) risk measure-
ment approach. The Net Notional Exposure (NNE) is not required for
funds that use another risk measurement approach than Commitment
(or Commithent I/II) and can be left empty in that case. This metric is cal-
culated using the derivatives' notional values, after incorporating delta
and duration adjustments and netting and hedging compensations.
Derivatives to which corresponding highly liquid assets are assigned so
that the combination of derivative and highly liquid assets is equivalent
to a direct investment in the underlying asset and neither an additional
market risk nor leverage is generated can be disregarded when compu-
ting the Net Notional Exposure.
For Swiss funds, the rules on netting and hedging transactions can be
found in Articles 35 and 36 CISO-FINMA.
For funds domiciled outside Switzerland, the rules on netting and hedg-
ing arrangements must comply with generally accepted practices and
applicable regulations8.
Cash borrowed from counterparties as of the year-end. The figure
should be split by:
Unsecured cash borrowing
Collateralised/secured cash borrowing — via prime broker
Collateralised/secured cash borrowing — via (reverse) repo
Collateralised/secured cash borrowing — via other
Cash borrowed from counterparties of a repo transaction (in exchange
for securities sold) outstanding at year-end, repo figure should not be
adjusted for netting or take into account the collateral posted in order to
mitigate the counterparty risk arising from these transactions.
The aggregate total market value of securities borrowed from counter-
parties at year-end. The aggregate figure should be reported, without
taking into account any netting effects and without considering the collat-
eral received in order to mitigate the counterparty risk arising from these
transactions.
Sum of individual positive net exposures to counterparties (fund receiva-
ble) arising from:
OTC derivatives
24/29
 repo - repurchase agreement transactions
reverse repo
securities lending
other transactions

Defined as the overall positive net counterparty exposure arising from

portfolio management techniques that: 1) reduce risk and costs to the
fund; or 2) increase income streams for the fund techniques, and OTC
financial derivative transactions. The exposure to the counterparties
should be reported net of any collateral posted by the counterparties to
the fund to reduce the counterparty risk borne by the fund. Moreover,
when counterparties are part of the same group they should be aggre-
gated at the group level and not treated as separate entities. Repos and
reverse repos with the same counterparty may be netted to the extent
that they are secured by the same type of collateral.
The positive net exposures should be reported using a mark-to-market
valuation method.

Total counterparty risk Sum of individual negative net exposures (fund payable) arising from:
borne by the counterpar-
OTC derivatives
ties
repo - repurchase agreement transactions
reverse repo
securities lending
other transactions

Defined as the overall negative net counterparty exposure arising from

portfolio management techniques, that: 1) increase risk and costs to the
fund; or 2) decrease income streams for the fund techniques, and OTC
financial derivative transactions. The exposure to the fund should be re-
ported net of any collateral posted by the fund to the counterparties to
reduce the counterparty risk borne by the counterparties. Repos and re-
verse repos with the same counterparty may be netted to the extent that
they are secured by the same type of collateral. The positive net expo-
sures should be reported using a mark-to-market valuation method.

Estimated average % (in Refers to the financial derivative instruments, which (as a percentage)
terms of trade volumes) were cleared through a CCP or bilaterally over the reporting period. Note
of derivatives that were that should you decide to file using XML, percentages must be given in
traded by the fund decimal form, for example 1% = 0.01.

Split by:

25/29
 • Cleared by a CCP – central clearing counterparties (or central
clearing houses), such as LCH, Clearnet, ICE Clear Europe and
Eurex Clearing.
• Bilaterally transacted
Value of collateral that Collateral posted by the fund in the context of cleared derivatives (in-
the fund has posted to cluding exchange-traded derivatives), OTC derivatives and securities fi-
all counterparties nancing transactions. Netting effects should not be taken into account.
Split by:
Total margin posted to CCPs
Collateral posted to OTC counterparties
Collateral posted in securities financial transactions

Aggregate value of col- The value of collateral received at year-end in order to mitigate the coun-
lateral that all counter- terparty risk arising from securities financing transactions and OTC de-
parties have posted to rivatives transactions.
the fund
Aggregate value of un- Refers to the amount of cash and cash equivalents available for immedi-
encumbered cash ate use without restriction.
Liquidity risk profile
Portfolio liquidity In normal times, % of the portfolio capable of being liquidated within
each category as at year-end. Only positive percentages should be re-
ported and the sum of all categories should be 100%. Note that should
you decide to file using XML, percentages must be given in decimal
form, for example 1% = 0.01.
Percentage of portfolio Report the percentage of the fund’s portfolio that is capable of being liq-
capable of being liqui- uidated within each of the liquidity periods specified. Each investment
dated within (as % of the should be assigned to only one period and such assignment should be
net fund assets) based on the shortest period during which such a position could reason-
ably be liquidated at or near its carrying value. Use good faith estimates
for liquidity based on market conditions over the reporting period and as-
suming no fire-sale discounting (e.g. for listed equities, assume that you
will not trade more than 20% of the 90 day average daily trading volume
in a single day). In the event that individual positions are important con-
tingent parts of the same trade, group all of those positions under the li-
quidity period of the least liquid part (so for example, in a convertible
bond arbitrage trade, the liquidity of the short position should be the
same as the convertible bond). Please do include cash and equivalents
in the most liquid bucket, i.e. “1 day or less”, as appropriate. Side pock-
ets should be accounted for in the “Longer than 365 days” category, un-
less you can demonstrate they fit the more liquid categories. The total
should add up to 100%.
Buckets are defined as:
1 day or less

26/29
 2 - 7 days
8 - 30 days
31 - 90 days
91 - 180 days
181 - 365 days
Longer than 365 days

Investors' liquidity Refers to the fund's redemption frequency. The aggregate value of the
net fund assets that offer redemption at each time frequency is to be re-
ported, expressed in % over the total net fund assets. Only positive per-
centages should be reported and the sum of all categories should add
up to 100%. Note that should you decide to file using XML, percentages
must be given in decimal form, for example 1% = 0.01.
Percentage of the net Refers to the fund's redemption frequency. The aggregate value of the
fund assets that offers net fund assets that offer redemption at each time frequency is to be re-
redemption under the ported, expressed in % over the total net fund assets. Only positive per-
following frequencies centages should be reported.
Side pockets should be accounted for in the “Longer than 365 days” cat-
egory, unless you can demonstrate they fit the more liquid categories.
Buckets are defined as:
1 day or less
2 - 7 days
8 - 30 days
31 - 90 days
91 - 180 days
181 - 365 days
Longer than 365 days
None (e.g. closed-end funds)

Liquidity management Please indicate the liquidity management tools available to the fund in
tools in accordance with accordance with the constitutive documents.
the constitutive docu- Note that the liquidity management tools actually used during the period
ments are not required here, but rather those foreseen by the fund contract.
For side letters: please answer with "1" if current side letters exist. If not,
regardless of the existence of side letters in an earlier period, answer
with "0".
Liquidity management Indicate
tools Redemption gates
Side pockets
Anti-dilution levy
Redemption fees
Redemption-in-kind

27/29
 Suspensions of redemptions
Swing pricing
Short-term borrowings
Mandatory liquidity buffers
Side letters
Other tools/measures

5 General notes for completing the reporting

In responding to questions in this reporting, the following guidelines apply

unless otherwise specified:

• If a question requests information expressed as a percentage, enter

the response in the reporting template as a percentage (not a deci-
mal). You should round to two decimal places unless otherwise
specified. Make sure percentages add up to 100% when this is re-
quired. Note further that should you decide to file using XML, the
percentages must be given in decimal form, for example 1% = 0.01.

• All the data must be provided in absolute values (no negative num-
bers)

• If a question requests a monetary value, provide the information in

the base currency unless otherwise specified, rounded to the near-
est integer (whole number).

• If a question requires you to distinguish long and short positions,

classify positions in a manner consistent with your internal record-
keeping and risk management procedures.

• Do not net long and short positions unless specified otherwise.

• Interest rate derivatives refer to those derivatives whose underlying

is either an interest rate or a fixed income security whose primary
risk factor is interest rate. A long position implies a positive sensitiv-
ity to a parallel decrease of the interest rate curve and a negative
sensitivity to a parallel increase of the interest rate curve. Con-
versely, a short position implies a negative sensitivity to a parallel
decrease of the interest rate curve and a positive sensitivity to a par-
allel increase of the interest rate curve.

• Credit derivatives refer to those derivatives whose underlying is ei-

ther credit risk or a fixed income security whose primary risk factor is

28/29
 credit risk. A long position implies a positive sensitivity to a parallel
tightening of the credit spread curve and a negative sensitivity to a
parallel widening of the credit spread curve. A short position implies
a negative sensitivity to a parallel tightening of the credit spread
curve and a positive sensitivity to a parallel widening of the credit
spread curve.

• Credit default derivatives should be accounted for in the following

specific way. The long value should correspond to the notional value
of protection written or sold, and the short value should correspond
to the notional value of protection bought. The principle here is that it
is considered that going long a CDS (buying protection) is equivalent
to shorting the underlying credit while going short the CDS (writing
protection) is equivalent to buying the underlying credit.

• You may respond to this form using your own internal methodologies
and the conventions of the service providers, provided the infor-
mation is consistent with information that you report internally and to
current and prospective investors. However, your responses must
be consistently applied and be consistent with any instructions or
guidance relating to this form.

• We are aware of the fact that some entities do not have systems in
place for obtaining the data with the required granularity. If such data
is not readily available, the entity must provide the data on a best
effort basis and is asked to make an effort to put the systems in
place within a reasonable timeframe.

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